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Business Confidence and Cyclical Turning Points: A Markov-Switching Approach

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Author Info
Mark J. Holmes () (University of Waikato)
Brian Silverstone () (University of Waikato)

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Abstract

Markov regime-switching analysis is used to consider the relationship between business confidence and the probability of turning points in cyclical GDP. We find, in an application to New Zealand, that confidence is related to both the deepness and duration of the business cycle and is asymmetric regarding the probability of the economy remaining in a given regime. Overall, the New Zealand business confidence series is a useful indicator of cyclical turning points.

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File URL: ftp://mngt.waikato.ac.nz/RePEc/wai/econwp/0719.pdf
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Publisher Info
Paper provided by University of Waikato, Department of Economics in its series Working Papers in Economics with number 07/19.

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Length: 10 pages
Date of creation: 01 Sep 2007
Date of revision:
Handle: RePEc:wai:econwp:07/19

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Web page: http://www.mngt.waikato.ac.nz/econ
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Related research
Keywords: business confidence; business cycle; Markov-switching; New Zealand;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  2. Karl Taylor & Robert McNabb, 2007. "Business Cycles and the Role of Confidence: Evidence for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 185-208, 04. [Downloadable!] (restricted)
    Other versions:
  3. Abdul Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund. [Downloadable!]
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This page was last updated on 2009-12-2.

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